INEM[Strategy] vs INav[Benchmark]

6 Aug, 2021 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	91.0%	93.0%
Cumulative Return	-11.83%	-8.66%
CAGR﹪	-20.26%	-15.03%
Sharpe	-3.55	-3.69
Prob. Sharpe Ratio	0.12%	0.39%
Smart Sharpe	-3.48	-3.62
Sortino	-3.8	-4.05
Smart Sortino	-3.72	-3.97
Sortino/√2	-2.68	-2.86
Smart Sortino/√2	-2.63	-2.81
Omega	0.47	0.47
Max Drawdown	-12.91%	-10.04%
Longest DD Days	171	175
Volatility (ann.)	12.45%	9.16%
R^2	0.55	0.55
Information Ratio	-0.08	-0.08
Calmar	-1.57	-1.5
Skew	-2.79	-1.47
Kurtosis	14.99	4.99
Expected Daily	-0.15%	-0.11%
Expected Monthly	-1.78%	-1.29%
Expected Yearly	-6.1%	-4.43%
Kelly Criterion	-42.13%	-38.68%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.44%	-1.06%
Expected Shortfall (cVaR)	-1.44%	-1.06%
Max Consecutive Wins	7	5
Max Consecutive Losses	6	9
Gain/Pain Ratio	-0.47	-0.42
Gain/Pain (1M)	-0.82	-0.75
Payoff Ratio	0.63	0.67
Profit Factor	0.53	0.58
Common Sense Ratio	0.3	0.31
CPC Index	0.15	0.17
Tail Ratio	0.56	0.53
Outlier Win Ratio	2.98	3.22
Outlier Loss Ratio	3.7	4.81
MTD	-7.37%	-4.16%
3M	-8.84%	-5.61%
6M	-11.7%	-8.79%
YTD	-9.99%	-7.37%
1Y	-11.83%	-8.66%
3Y (ann.)	-20.26%	-15.03%
5Y (ann.)	-20.26%	-15.03%
10Y (ann.)	-20.26%	-15.03%
All-time (ann.)	-20.26%	-15.03%
Best Day	1.59%	1.19%
Worst Day	-4.81%	-2.75%
Best Month	1.51%	1.82%
Worst Month	-7.37%	-4.16%
Best Year	-2.05%	-1.39%
Worst Year	-9.99%	-7.37%
Avg. Drawdown	-6.86%	-3.54%
Avg. Drawdown Days	92	60
Recovery Factor	-0.92	-0.86
Ulcer Index	0.04	0.04
Serenity Index	-0.47	-0.31
Avg. Up Month	1.23%	1.46%
Avg. Down Month	-3.7%	-2.92%
Win Days	45.33%	44.16%
Win Month	42.86%	28.57%
Win Quarter	0.0%	0.0%
Win Year	0.0%	0.0%
Beta	1.01	-
Alpha	-0.1	-
Correlation	74.48%	-
Treynor Ratio	-18.61%	-